A spokesman for the office said Monday it was investigating to see if any laws were broken.
The EMTs were suspended Monday, and Mayor Michael Bloomberg.
The Fire Department of New York suspended Jason Green, a six-year veteran, and Melissa Jackson, a four-year veteran, without pay while the Dec. 9 incident is investigated, spokesman Steve Ritea said.
Witnesses, first speaking to The New York Post, said the EMTs told employees at the eatery in downtown Brooklyn to call 911 and then left when they were asked to help Eutisha Revee Rennix, an employee who had collapsed.
An ambulance was called, and Rennix, 25, was taken to Long Island College Hospital, where she died a short time later. Her baby girl was too premature to survive. A message left for Rennix's mother Monday wasn't immediately returned.
Home telephone listings for Jackson and Green weren't unavailable. A call Monday evening to the EMT's union office wasn't immediately returned.
Ritea said that all FDNY members "take an oath to assist others whenever they're in need of emergency medical care. It's their sworn duty."
A union spokesman said Monday that EMTs generally consider their jobs to be a 24-hour kind of thing.
"Our people tend to spring into action whether they're on duty, off duty, whatever they're doing," said Robert Ungar, spokesman for the Uniformed EMTS and Paramedics, FDNY.
The city's EMTs have a "very strong bond with the people of New York City that they serve," he said. "They view themselves as always being on duty."
He said the union was waiting to see what the results of the Fire Department's investigation would be.
"If there was unprofessional conduct by these EMTs, the union does not condone any type of conduct which in any way can harm members of the public," he said.
On Monday, Bloomberg repeated comments he made over the weekend criticizing the EMTs, saying refusing to help goes against human decency.
"There's no excuse whatsoever," he said.